Geometrically convergent simulation of the extrema of Lévy processes
Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo
| Year of publication: |
2022
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|---|---|
| Authors: | González Cázares, Jorge Ignacio ; Mijatović, Aleksandar ; Uribe Bravo, Gerónimo |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 47.2022, 2, p. 1141-1168
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| Subject: | geometric convergence | Lévy process | Monte Carlo estimation | multilevel Monte Carlo | simulation | supremum | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Wirtschaftliche Konvergenz | Economic convergence |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2021.1163 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013365090